Kerry Back
from sklearn.preprocessing import QuantileTransformer
qt = QuantileTransformer(output_distribution="normal")
def qtxs(d):
x = qt.fit_transform(d)
return pd.DataFrame(x, columns=d.columns, index=d.index)
df[["roeq", "mom12m", "ret"]] = df.groupby(
"date",
group_keys=False
)[["roeq", "mom12m", "ret"]].apply(qtxs)roeq 0.713744
mom12m 0.286256
dtype: float64